On some estimators of the Hurst index of the solution of SDE driven by a fractional Brownian motion
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Abstract: Strongly consistent and asymptotically normal estimators of the Hurst parameter of solutions of stochastic differential equations are proposed. The estimators are based on discrete observations of the underlying processes.
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Cited in
(15)- Estimation of the Hurst index of the solutions of fractional SDE with locally Lipschitz drift
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